Well technically if you own the actual game you can dl it on a website, but it has to be deleted within 24 hours or some crap, THEN it becomes illegal. But seriously who would dl it and time it?
And anyways, using PS2 ROM's is illegal, in a sense where if you could get ahold of the BIOS and actual emulator, you could play PS2 games without the system, and that would be illegal.
So no matter which way you slice it, you can get screwed.